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Text Area - References

References

References, Citations & Related Research

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Text Area - Research Citations

Research Citations

J. D. Jobson and Bob Korkie, 1982, "Potential Performance and Tests of Portfolio Efficiency", Journal of Financial Economics, 10, 433 – 466

• This highly cited research is republished in the International Library of Financial Econometrics, Volumes I to V, 2007, Edward Elgar Publishing, edited by Andrew Lo, who writes, "In these five volumes, the most influential papers of financial econometrics have been collected, spanning four decades…" The publisher writes, "This major collection presents a careful selection of the most important published articles in the field of financial econometrics." http://web.mit.edu/alo/www/

J. D. Jobson and Bob Korkie, 1980, "Estimation for Markowitz Efficient Portfolios", Journal of the American Statistical Association, 544 – 554

• This paper is a starting point for many research papers into the reliability of empirical based portfolio optimizers.
• Reference used in the CFA Institute-produced publications; i) Quantitative Methods for Investment Analysis, ii) Analysis of Equity Investments: Valuation, and iii) Managing Investment Portfolios: A Dynamic Process  www.cfapubs.org/

J. D. Jobson and Bob Korkie, 1981. "Putting Markowitz Theory to Work", Journal of Portfolio Management, 7, 70 – 74

• "The key to understanding the limitations of portfolio optimizers in practice provided by Jobson and Korkie’s papers concurs with advisors’ intuition.", comments by Richard O. Michaud, President and Chief Investment Officer at New Frontier Advisors LLC www.newfrontieradvisors.com/about/research/Articles/documents/ResampledEfficiencyIntro.pdf
• "Pioneering studies of the limits of the Markowitz framework date to the early 1980s when J.D. Jobson and Bob Korkie concluded that the certainty that the Markowitz optimizer attaches to input estimates tends to make the solutions highly sensitive to small changes in those inputs."  - Laurie Kaplan Singh, in Optimizing Harry Markowitz, www.emii.com, The Euromoney Institutional Investor Online Portal

• This paper's tools are used in many studies of the risk return performance of real portfolios.
• “Let's give credit, in this case, to Jobson and Korkie, where credit is due for a much earlier effort at tackling the issue of the Sharpe ratio's statistical precision when used for portfolio performance comparisons.” Comment by Daniel Morillo and Larry Pohlman, PanAgora Asset Management "The Statistics of Sharpe Ratios", Financial Analysts Journal, Vol. 58, No. 6 (Nov. - Dec., 2002), p. 18
• "Limitations of the Information Ratio"—Dan diBartolomeo, Northfield Information Services, in www.northinfo.com/documents/324.pdf

Bob Korkie, 1989. "Corrections for Trading Frictions in Multivariate Returns", Journal of Finance, 44, 1421 – 1434

• This model was used by Risk Metrics Inc. for thin trading corrections in some of their software.